This package contains the data as well as the Matlab files needed to compute the statistics and results in the empirical section of A. Chudik, K. Mohaddes, M. Hashem Pesaran, and M. Raissi, "Is There a Debt-Threshold Effect on Output Growth?", forthcoming in the Review of Economics and Statistics.


(1) "Data_141022.xlsx": The excel file containing annual data from 1965 to 2010 on the log of CPI (p), log of GDP (y), and log of gross government debt/GDP (gd) for the 40 countries in our sample, as well as their log differences, dp, dy, and dgd, respectively. The construction of data and the underlying sources are described in the Data Appendix of the paper.

Note that countries are listed in alphabetical order in "Data_141022.xlsx", in other words: arg, aus, aut, bel, bra, can, chl, chn, ecu, egy, fin, fra, ger, ind, ins, ira, ita, jap, kor, mal, mex, mor, net, nz, nig, nor, per, phi, sin, saf, spa, swe, swi, syr, tha, tun, tur, uk, us, ven.

The 40 countries are also divided into two sub-groups: "advanced economies", as defined by the International Monetary Fund and "developing economies"; see Table A.1 in the Data Appendix.


(2) "program_case1.m": The Matlab program which produces the results in Tables 4-6 and 8. This is the program for the model which only includes gross government debt/GDP as a regressor. 

Note: before you run the program make sure that you change the path for the data file and the result files to the directory which you have placed all of the files in. 


(3) "results_case1.xlsx": The excel files where the full results from "program_case1.m" are written to. The first fourteen sheets record the results from the individual ARDL/CS-ARDL/DL/CS-DL regressions (for different lag orders). 

The last three sheets "summary", "summary (ae)", and "summary (eme)" summarizes the results for the full sample, advanced economies, and developing economies, respectively. In particular:

# rows 7-10 reports the results for the regressions with the threshold variable, in other words panel (b) of Tables 4-6;
# rows 16-19 reports the results for the regressions with the interactive threshold variable, in other words panel (c) of Tables 4-6;
# rows 27-30 reports the results for the regressions with both threshold variables, in other words panel (a) of Tables 4-6.
# rows 3-4 reports the results for the regressions with the threshold variable, in other words panel (b) of Table 8;
# rows 12-13 reports the results for the regressions with the interactive threshold variable, in other words panel (c) of Table 8; 
# rows 21-22 reports the results for the regressions with both threshold variables, in other words panel (a) of Table 8.


(4) "program_case2.m": The Matlab program which produces the results in Tables 7 and 9. This is the program for the model which includes both gross government debt/GDP and inflation as regressors. 

Note: before you run the program make sure that you change the path for the data file and the result files to the directory which you have placed all of the files in. 


(5) "results_case2.xlsx": The excel files where the full results from "program_case2.m" are written to. The first thirteen sheets record the results from the individual ARDL/CS-ARDL/DL/CS-DL regressions (for different lag orders). 

The last three sheets "summary", "summary (ae)", and "summary (eme)" summarizes the results for the full sample, advanced economies, and developing economies, respectively. In particular:

# rows 9-12 reports the results for the regressions with the threshold variable, in other words panel (b) of Table 7;
# rows 20-23 reports the results for the regressions with the interactive threshold variable, in other words panel (c) of Table 7;
# rows 33-36 reports the results for the regressions with both threshold variables, in other words panel (a) of Table 7.
# rows 3-4 and 7-8 report the results for the regressions with the threshold variable, in other words panel (b) of Table 9;
# rows 14-15 and 18-19 report the results for the regressions with the interactive threshold variable, in other words panel (c) of Table 9;
# rows 25-26 and 31-32 report the results for the regressions with both threshold variables, in other words panel (a) of Table 9.


Before doing any computations, please place all the files (18 items including this read me file) in one folder. The computations were done in Matlab (R2014a and R2012a) using Windows 7 and takes around 2.5 hours for each case.


It would be appreciated if the paper and use of the dataset and the Matlab codes are acknowledged.

Alexander Chudik 		Kamiar Mohaddes		M. Hashem Pesaran	Mehdi Raissi
alexander.chudik@dal.frb.org	km418@cam.ac.uk		pesaran@usc.edu		mraissi@8imf.org

November 17, 2015